# Henry Dyer and Tomas Jankauskas argue in Liberty Street Economics that rate surprises shift equity risk premia [Canonical reading](https://escapemeridian.com/readings/henry-dyer-and-tomas-jankauskas-argue-in-liberty-street-3e47c2a6) The post was published on August 12, 2026. Henry Dyer and Tomas Jankauskas examine how Federal Reserve monetary policy surprises relate to equity risk premia and expected dividend growth across different maturities. Using a model that estimates these components separately, they report that negative surprises are associated with a 25-basis-point increase in the average risk premium, while positive surprises show similar movements. The estimated effects of both are small and statistically insignificant. Expected dividend growth appears to move with dovish surprises: it falls across maturities, with the largest decrease at the shortest maturities. The authors suggest that large rate cuts may signal economic distress and weaker growth prospects; they suggest rate hikes may reflect strong demand or inflationary pressures, which do not necessarily reduce nominal growth. Their conclusion is that large interest rate shocks induce a parallel increase in equity risk premia, while only negative monetary policy surprises lower dividend growth expectations. The estimates use data from 1988–2020; whether these relationships persist beyond that sample remains unknown. Headline and summary by Escape Meridian, prepared by Luna from the attributed source. A source check is not independent confirmation of the source’s claims. ## Original source Federal Reserve Bank of New York · Article Original source date: Aug 12, 2026 (2026-08-12T11:00:00.000Z). Date basis: Date supplied by the publisher’s feed. Added to Escape Meridian: 2026-11-06T06:03:25.709Z. First observed: 2026-10-30T20:12:34.272Z. Retrieved: 2026-10-30T21:23:45.582Z. - [Does the Equity Term Structure Respond to Monetary Policy Shocks?](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Limits Text as retrieved on October 30, 2026; originally published August 12, 2026. The authors say the estimated risk-premium effects of positive and negative surprises are statistically insignificant; they suggest this may reflect that surprises at most FOMC meetings are very small. The analysis reports estimates for 1988–2020 and does not establish whether the reported relationships persist beyond that sample. The post states that its views are those of the authors and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. ## Open question Would the reported relationships between monetary policy surprises, risk premia and expected dividend growth persist in data beyond the 1988–2020 sample? ## Source-stated Dyer and Jankauskas report that negative monetary policy surprises are associated with an average increase in risk premia, while effects of both positive and negative surprises are statistically insignificant. > Negative surprises are associated with, on average, a 25-basis-point increase in the average risk premium. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The authors report that expected dividend growth decreases after dovish surprises, but not after hawkish surprises. > Lastly, expected dividend growth rates appear to co-move only with dovish surprises. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The authors conclude that large interest rate shocks raise equity risk premia, while only negative surprises lower expected dividend growth expectations. > Our findings suggest that large interest rate shocks induce a parallel increase in the level of equity risk premium. On the other hand, only negative monetary policy surprises lower dividend growth expectations. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The authors’ analysis uses a sample spanning 1988 to 2020. > Sample: 1988-2020. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The post is dated August 12, 2026. > August 12, 2026 > Does the Equity Term Structure Respond to Monetary Policy Shocks? - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source and contributor context Federal Reserve Bank of New York · Publisher The publisher is identified here. No individual author has been inferred. ## Source media Media retrieval status: unchecked. ## Terms and references Reference context selected by Escape Meridian; separate from source evidence. Entity mentions do not establish authorship, involvement or endorsement. ## Basis point One hundredth of one per cent (0.01 per cent), so 100 basis points equal one percentage point; used in money and securities markets for differences in interest rates or yields. - [Definition reference](https://www.rba.gov.au/glossary/) ## Editorial provenance Version 1. Publication ID: b8ec2243-7153-9145-10a2-a5b1979cebb7. Prepared by openai/gpt-6-luna; grounding review by anthropic/claude-opus-5.5. Source check: uncertain by anthropic/claude-opus-5.5 on 2026-11-06T05:59:14.466Z. This checks fidelity to the source, not whether its claims are independently true. Editorial selection: accept; reasons: bridge\_admitted\_by\_model. Observation: d3a400469c1c705d020756e04877843a221078f330331bb4bc837a257980fcb9. Source text hash: 6c6e091245ba3c2be9af48279c0a10f052955c7a25903ca88cc66706db2c0037. ## Revision and source-check history ### Version 1 — 2026-11-06T06:03:25.709Z The post was published on August 12, 2026. Henry Dyer and Tomas Jankauskas examine how Federal Reserve monetary policy surprises relate to equity risk premia and expected dividend growth across different maturities. Using a model that estimates these components separately, they report that negative surprises are associated with a 25-basis-point increase in the average risk premium, while positive surprises show similar movements. The estimated effects of both are small and statistically insignificant. Expected dividend growth appears to move with dovish surprises: it falls across maturities, with the largest decrease at the shortest maturities. The authors suggest that large rate cuts may signal economic distress and weaker growth prospects; they suggest rate hikes may reflect strong demand or inflationary pressures, which do not necessarily reduce nominal growth. Their conclusion is that large interest rate shocks induce a parallel increase in equity risk premia, while only negative monetary policy surprises lower dividend growth expectations. The estimates use data from 1988–2020; whether these relationships persist beyond that sample remains unknown. ## Original source Federal Reserve Bank of New York · Article Original source date: Aug 12, 2026 (2026-08-12T11:00:00.000Z). Date basis: Date supplied by the publisher’s feed. Added to Escape Meridian: 2026-11-06T06:03:25.709Z. First observed: 2026-10-30T20:12:34.272Z. Retrieved: 2026-10-30T21:23:45.582Z. - [Does the Equity Term Structure Respond to Monetary Policy Shocks?](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Limits Text as retrieved on October 30, 2026; originally published August 12, 2026. The authors say the estimated risk-premium effects of positive and negative surprises are statistically insignificant; they suggest this may reflect that surprises at most FOMC meetings are very small. The analysis reports estimates for 1988–2020 and does not establish whether the reported relationships persist beyond that sample. The post states that its views are those of the authors and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. ## Open question Would the reported relationships between monetary policy surprises, risk premia and expected dividend growth persist in data beyond the 1988–2020 sample? ## Source-stated Dyer and Jankauskas report that negative monetary policy surprises are associated with an average increase in risk premia, while effects of both positive and negative surprises are statistically insignificant. > Negative surprises are associated with, on average, a 25-basis-point increase in the average risk premium. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The authors report that expected dividend growth decreases after dovish surprises, but not after hawkish surprises. > Lastly, expected dividend growth rates appear to co-move only with dovish surprises. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The authors conclude that large interest rate shocks raise equity risk premia, while only negative surprises lower expected dividend growth expectations. > Our findings suggest that large interest rate shocks induce a parallel increase in the level of equity risk premium. On the other hand, only negative monetary policy surprises lower dividend growth expectations. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The authors’ analysis uses a sample spanning 1988 to 2020. > Sample: 1988-2020. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source-stated The post is dated August 12, 2026. > August 12, 2026 > Does the Equity Term Structure Respond to Monetary Policy Shocks? - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/08/does-the-equity-term-structure-respond-to-monetary-policy-shocks/) ## Source and contributor context Federal Reserve Bank of New York · Publisher The publisher is identified here. No individual author has been inferred. ## Source media Media retrieval status: unchecked. ## Terms and references Reference context selected by Escape Meridian; separate from source evidence. Entity mentions do not establish authorship, involvement or endorsement. ## Basis point One hundredth of one per cent (0.01 per cent), so 100 basis points equal one percentage point; used in money and securities markets for differences in interest rates or yields. - [Definition reference](https://www.rba.gov.au/glossary/) ## Editorial provenance Version 1. Publication ID: b8ec2243-7153-9145-10a2-a5b1979cebb7. Prepared by openai/gpt-6-luna; grounding review by anthropic/claude-opus-5.5. Source check: uncertain by anthropic/claude-opus-5.5 on 2026-11-06T05:59:14.466Z. This checks fidelity to the source, not whether its claims are independently true. Editorial selection: accept; reasons: bridge\_admitted\_by\_model. Observation: d3a400469c1c705d020756e04877843a221078f330331bb4bc837a257980fcb9. Source text hash: 6c6e091245ba3c2be9af48279c0a10f052955c7a25903ca88cc66706db2c0037. ### uncertain — 2026-11-06T05:59:14.466Z — anthropic/claude-opus-5.5 Publication: b8ec2243-7153-9145-10a2-a5b1979cebb7 attribution — pass: The reading correctly attributes the analysis to Henry Dyer and Tomas Jankauskas in Liberty Street Economics, published by the Federal Reserve Bank of New York. It also preserves the disclaimer that the views are the authors' own. > Henry Dyer and Tomas Jankauskas summary — uncertain: The core terms are never explained for a non-specialist: equity risk premia, monetary policy surprises, dovish and hawkish, FOMC, and maturities across the term structure. Only basis point is defined. The reading also never says why the finding matters. The title says surprises shift equity risk premia, yet the authors call the effects small and statistically insignificant. The source's conclusion does use that wording, but the title should carry the caveat. Smallest repair: add plain-language glosses for these terms, or term-library entries, and qualify the title. > The effects of both negative and positive surprises are not very large in economic magnitude and are statistically insignificant date — pass: evidence.originalPublished is 2026-08-12T11:00Z, and its UTC day matches the post's dateline of August 12, 2026. There is no hindsight framing. The evidence is a publisher page, so no archive disclosure is needed. The modification was later on the same day and is not flagged as editedAfterPublication. > August 12, 2026 Does the Equity Term Structure Respond to Monetary Policy Shocks? support — pass: The source supports each reported claim: the 25-basis-point rise after negative surprises, similar moves after positive surprises, the statistical insignificance, and dividend growth co-moving only with dovish surprises (over 50 bp at short maturities, 20 bp at long). The authors' interpretations are framed as suggestions, as in the source. The 1988–2020 sample and the open question about persistence are grounded in the text. > There is an over 50-basis-point drop for the shortest maturities and a 20-basis-point decrease for the longest maturities. media — pass: No media was selected and no verified candidates were supplied, so there is nothing to misidentify. ## Recorded references Explicit citations in public readings and public file attachments to this reading. Shared topics are not citations. Other artifact types need an explicit reference adapter. No public references recorded here yet. [Reference data (JSON)](/readings/3e47c2a6fa1b0e593e8c0ba1182dc332346bf6580b3bd983f862d67e3d504371/references.json) ## Corrections and challenges [Send a correction or an opposing source](https://escapemeridian.com/corrections/) [JSON record](https://escapemeridian.com/readings/henry-dyer-and-tomas-jankauskas-argue-in-liberty-street-3e47c2a6.json)